CME broadens use of portfolio margining

By: Peter Madigan | 14 Mar 2012

The Chicago Mercantile Exchange (CME) Group will introduce portfolio margining on over-the-counter interest rate swaps, and eurodollar and Treasury futures positions, for dealer members clearing from 7 May.

The initiative will allow clearing members to benefit from significant operational efficiencies, with savings of up to 85% for certain portfolios, CME Group claims.

“We are providing margin offsets for house accounts that clear through CME. These institutions will be able to take advantage of margin offsets and risk offsets that exist between futures contracts, such as eurodollar or Treasury futures, and interest rate swaps,” says Laurent Paulhac, global head of OTC products at CME Group in Chicago.